Equity derivatives: Termination of trading in equity derivatives on Russian underlyings

1.  Introduction

In response to the Sanctions imposed by the European Union against Russian companies, Eurex Deutschland terminated trading on 28 February 2022 in four Eurex Deutschland single stock derivatives (OJSG, SBNF, VTBF and SBN) on Global Depositary Receipts (GDRs) listed on the London Stock Exchange (LSE). Open positions were terminated based on the underlying close price from 25 February 2022.

Eurex Deutschland also suspended trading of additional eleven single stock derivatives (TTFF, LUKF, MAGF, NNIG, N10F, RTSG, SGNF, PJPF, RG2, SGN and TTF) on GDRs on 28 February 2022 from trading.

As orderly trading seems not to be ensured anymore, today the Management Board of Eurex Deutschland decided to terminate trading in additional three options and one future based on Gazprom (GAZ, GAZG), Lukoil (LUK) and Norilsk Nickel (NNIA), effective as of 3 March 2022 at the close of trading 17:30 CET and 17:45 CET (GAZG).

Open positions on 3 March 2022 will be cash settled using the Fair value method based on official close of the respective underlying on the London Stock Exchange on 3 March 2022 or the last available price before that, if the closing price cannot be determined on 3 March 2022.

Eurex Deutschland reserves the right to immediately take any further appropriate measures, if such become necessary due to measures of the trading venue of the reference markets of the above-mentioned derivatives or the overall development with regards to the war in Ukraine.

Please find below the settlement details.

2.  Required action

Trading participants are encouraged to take notice of the announced termination and settlement details. Additionally, Eurex Default Management will be available to assist and support with any queries in relation to position transfer or closing in above-mentioned contracts (LUK, NNIA, GAZ and GAZG).

• E-mail: DMP_Inbox@deutsche-boerse.com
• Phone: Eurex Trading, tel. +49-69-211-1 12 10

3.  Details

Procedure for Fair Value Settlement of Eurex derivatives 

The Eurex Options Contracts and the Eurex Single Stock Futures Contracts on Gazprom (GAZ, GAZG), Lukoil (LUK) and Norilsk Nickel (NNIA) will be settled according to the Fair value method. The following parameters will be defined for calculation according to the Fair value method:

• Closing price; based on official close of the underlying on the London Stock Exchange 3 March 2022 or the last available price if the closing price cannot be defined on 3 March 2022
• Interest rate and dividends; if applicable
• Volatility; the average implicit volatility of the ten days preceding the sanction announcement, 14 February 2022 to 25 February 2022, excluding every highest and lowest value from the calculation of the average.

The exact adjustment details, including interest rate, applicable dividends and implied volatilities of option series with open positions will be published in a separate circular. Series without open interest will be deleted.

Further information